Strong Consistency of the Variance Estimator in Steady-State Simulation Output Analysis

DOI10.1287/MOOR.19.2.494MaRDI QIDQ4302599zbMATH OpenOpenAlexFDO

Authors Halim Damerdji

Publication date 2 January 1995

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.19.2.494

zbMATH Keywords

confidence intervalcorrelationoverlapping batch meanssteady-state simulation output analysisstrong consistencystrongly consistent estimatortime seriesvariance estimationweakly consistent estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(23)

• A new class of strongly consistent variance estimators for steady-state simulations
• Spaced batch means
• Weighted batch means estimators in Markov chain Monte Carlo
• A note on bias and mean squared error in steady-state quantile estimation
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• The estimation of traffic intensity parameter for a single-channel queueing system with regenerative input flow
• New recursive estimators of the time-average variance constant
• Mean Value Estimation of a Covariance Stationary, Continuous-Time Process, with Simulation Output Applications
• Using excursion to analyze simulation output
• Strong Consistency and Other Properties of the Spectral Variance Estimator
• Spectral and graph-theoretic bounds on steady-state-probability estimation performance for an ergodic Markov chain
• Simulation output analysis using integrated paths
• Simulation output analysis using integrated paths. II: Low bias estimators
• Mean-Square Consistency of the Variance Estimator in Steady-State Simulation Output Analysis
• scientific article; zbMATH DE number 830008 (Why is no real title available?)
• Selecting the best alternative based on its quantile
• Overlapping batches for the assessment of solution quality in stochastic programs
• Batching Adaptive Variance Reduction
• Strong invariance principles for ergodic Markov processes
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
• Predicting the statistical error of analog particle tracing Monte Carlo
• Asymptotically valid single-stage multiple-comparison procedures

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